Assessing the impact of energy and macroeconomic shocks on the Romanian economy: a Bayesian VAR approach

Alexandru George Neacșu, Andrei Costin Neacșu, Georgiana Pleșa and Georgian Dănuț Mihai
Additional contact information
Alexandru George Neacșu: Bucharest University of Economic Studies, Romania
Andrei Costin Neacșu: Bucharest University of Economic Studies, Romania
Georgiana Pleșa: Bucharest University of Economic Studies, Romania
Georgian Dănuț Mihai: Bucharest University of Economic Studies, Romania

Theoretical and Applied Economics, 2024, vol. XXXI, issue 4(641), Winter, 109-118

Abstract: This paper investigates the impact of both energy prices and macroeconomic variables on the Romanian economy using a Vector Autoregressive model (VAR), estimated using Bayesian inferences. Romania, a small emerging economy, has suffered considerable shocks in recent years, including the outbreak of the pandemic crisis, energy prices liberalization and the ongoing war in Ukraine. These shocks have increased the risk premium (through the exchange rate transmission channel), causing macroeconomic instability. The analysis investigates the transmission mechanism of both demand and supply shocks, with a focus on energy prices (oil and gas), inflation, economic growth, interest rate, real exchange rate and a sentiment indicator. Two separate models (including the oil price and, respectively, the gas price) show different dynamics in the responses of the Romanian macroeconomic variables.

Keywords: macroeconomic shocks; econometric testing; finance; energy markets. (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://store.ectap.ro/articole/1789.pdf (application/pdf)
http://www.ectap.ro/articol.php?id=1789&rid=157 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:agr:journl:v:xxxi:y:2024:i:4(641):p:109-118

Access Statistics for this article

Theoretical and Applied Economics is currently edited by Mircea Dinu

More articles in Theoretical and Applied Economics from Asociatia Generala a Economistilor din Romania / Editura Economica Contact information at EDIRC.
Bibliographic data for series maintained by Mircea Dinu ().